Re: [R] Simultaneous estimation of mean and garch eq'n

From: Campbell <>
Date: Fri 20 May 2005 - 18:00:53 EST

This might be one of those situations in which you should say what what you are trying to do rather than how you are trying to do it. It is my understanding that estimates of b are asymptotically well behaved in this situation, at least for b<1. If, however, you are trying to get CI's for b in finite samples conditioned upon the errors being generated by a GARCH process then this is a different issue.

HTH Phineas

>>> Tobias Muhlhofer <> 05/19/05 9:56 PM >>>
Is it possible to simultaneously estimate mean and GARCH parameters in R?

In other words, I would like to estimate the normal regression equation

Y = b X + u

and simultaneously do a garch process on the u's to correct the standard


I was thinking maybe something with systemfit(), but I can't quite come up with it.




______________________________________________ mailing list
PLEASE do read the posting guide!

______________________________________________ mailing list
PLEASE do read the posting guide!
Received on Fri May 20 18:07:17 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:31:56 EST